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Numerical partial differential equations in finance explained = an introduction to computational finance /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Numerical partial differential equations in finance explained/ by Karel in't Hout.
其他題名:	an introduction to computational finance /
作者:	In't Hout, Karel.
出版者:	London :Palgrave Macmillan UK : : 2017.,
面頁冊數:	xiv, 128 p. :ill., digital ; : 24 cm.;
Contained By:	Springer eBooks
標題:	Business mathematics. -
電子資源:	http://dx.doi.org/10.1057/978-1-137-43569-9
ISBN:	9781137435699

Numerical partial differential equations in finance explained = an introduction to computational finance /
In't Hout, Karel.

Numerical partial differential equations in finance explainedan introduction to computational finance /[electronic resource] :by Karel in't Hout. - London :Palgrave Macmillan UK :2017. - xiv, 128 p. :ill., digital ;24 cm. - Financial engineering explained. - Financial engineering explained..

Chapter1. Financial option valuation -- Chapter2. Partial differential equations -- Chapter3 Spatial discretization I -- Chapter4. Spatial discretization II -- Chapter5. Numerical study: space -- Chapter6. The Greeks -- Chapter7. Temporal discretization -- Chapter8. Numerical study: time -- Chapter9. Cash-or-nothing options -- Chapter10. Barrier options -- Chapter11. American-style options -- Chapter12. Merton model -- Chapter13. Two-asset options.

This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs) It provides readers with an easily accessible text explaining main concepts, models, methods and results that arise in this approach. In keeping with the series style, emphasis is placed on intuition as opposed to full rigor, and a relatively basic understanding of mathematics is sufficient. The book provides a wealth of examples, and ample numerical experiments are givento illustrate the theory. The main focus is on one-dimensional financial PDEs, notably the Black-Scholes equation. The book concludes with a detailed discussion of the important step towards two-dimensional PDEs in finance.

ISBN: 9781137435699

Standard No.: 10.1057/978-1-137-43569-9doiSubjects--Topical Terms:

557696
Business mathematics.

LC Class. No.: HF5691

Dewey Class. No.: 650.0151

Numerical partial differential equations in finance explained = an introduction to computational finance /
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520 $a This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs) It provides readers with an easily accessible text explaining main concepts, models, methods and results that arise in this approach. In keeping with the series style, emphasis is placed on intuition as opposed to full rigor, and a relatively basic understanding of mathematics is sufficient. The book provides a wealth of examples, and ample numerical experiments are givento illustrate the theory. The main focus is on one-dimensional financial PDEs, notably the Black-Scholes equation. The book concludes with a detailed discussion of the important step towards two-dimensional PDEs in finance.
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